Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 2 2
Score -3.48 -4.35 -6.07
Market Cap (Millions USD) 6026.62 5349.91 5503.16
Predicted Beta 0.32 0.32 0.34
Idiosyncratic Volatility 1.61 1.55 2.28

Annualized return and volatility

EZU
Annualized Return 0.0279
Annualized Std Dev 0.2502
Annualized Sharpe (Rf=0%) 0.1115

Row

Daily Return Statistics

EZU
Observations 4965.0000
NAs 149.0000
Minimum -0.1151
Quartile 1 -0.0067
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0078
Maximum 0.1461
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0158
Skewness 0.0226
Kurtosis 8.1803

Downside Risk

EZU
Semi Deviation 0.0113
Gain Deviation 0.0113
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6532
Historical VaR (95%) -0.0244
Historical ES (95%) -0.0380
Modified VaR (95%) -0.0230
Modified ES (95%) -0.0326
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2018-01-12 -0.6532 2613 348 2265
2000-08-17 2002-10-09 2005-03-04 -0.5283 1162 546 616
2018-01-29 2018-12-24 NA -0.2599 490 233 NA
2006-05-11 2006-06-13 2006-09-28 -0.1508 99 23 76
2007-07-18 2007-08-16 2007-10-09 -0.1370 60 22 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EZU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA -0.8 0.0 0.0 0.2 0.1 0.0 -0.5
2001 0.1 -0.8 0.0 0.7 -0.2 0.0 1.3 0.0 -0.9 2.1 0.0 0.0 2.2
2002 -0.2 1.4 1.2 0.4 0.0 -0.1 -4.6 0.0 3.9 1.6 0.0 0.0 3.6
2003 0.0 0.0 2.4 0.2 0.0 0.2 0.2 0.0 2.0 0.0 1.0 0.0 6.1
2004 0.0 1.0 1.1 0.0 -0.8 -1.6 0.0 0.4 2.0 0.0 1.7 0.0 3.8
2005 1.1 0.4 -0.9 0.0 0.2 -0.1 1.0 1.3 0.0 0.2 1.6 0.0 4.8
2006 0.5 1.0 0.0 -0.3 0.8 0.0 -0.5 0.7 0.0 0.3 -0.5 0.0 1.9
2007 0.6 -1.8 0.0 0.7 0.3 0.0 -0.2 0.0 1.3 -2.4 0.0 0.0 -1.6
2008 1.7 0.0 3.1 1.1 0.0 -1.0 -1.5 0.0 -0.9 0.0 -8.5 0.0 -6.3
2009 0.0 0.0 2.4 1.0 2.2 1.7 0.0 -3.2 -3.2 0.0 2.4 0.0 3.2
2010 2.0 1.2 1.8 0.0 -1.6 2.5 0.0 4.1 0.8 -0.9 3.8 0.0 14.3
2011 2.8 -1.8 1.1 0.0 -2.9 1.2 -2.5 -1.9 0.0 -5.3 -0.9 0.0 -9.9
2012 2.1 1.7 0.0 0.8 -2.8 0.0 -0.1 0.0 1.1 1.2 0.0 0.0 4.0
2013 1.6 -0.6 -0.6 -0.7 0.0 1.1 1.5 0.0 1.2 -0.6 0.0 0.0 2.9
2014 0.0 0.0 1.1 0.1 0.0 0.8 -1.0 0.0 -1.1 0.0 -0.2 0.0 -0.4
2015 0.0 0.0 1.0 1.2 -0.3 0.8 0.0 -2.4 -0.2 0.0 0.3 0.0 0.3
2016 -0.2 3.2 -0.8 0.0 2.9 0.1 -1.1 0.8 0.0 -0.5 -0.4 0.0 3.8
2017 0.2 1.5 0.0 0.6 0.8 0.0 0.7 0.2 0.0 0.3 -0.7 0.0 3.7
2018 0.3 -1.1 0.0 -0.3 0.7 0.0 -0.6 0.0 0.0 1.6 0.0 0.0 0.4
2019 0.1 0.9 1.3 -0.6 0.0 0.2 -0.3 0.0 -0.9 0.7 0.0 -0.1 1.2

Row

Rolling Performance Chart

Snail Trail Chart